Donaldson squeezed five birdies in a closing four-under-par 68 to finish 14-under on 274, one ahead of overnight leader Rose (71) and Olesen (69).
The Welshman almost let in his title rivals when he bogeyed the last hole after missing from five feet. But neither Rose nor Olesen, playing in the match behind, could birdie the 18th and the spectacular Falcon Trophy belonged to Donaldson.
"I got away with murder at the last hole there but I'm very happy to be holding the trophy," he told Sky Sports after clinching his second European Tour victory.
"This feels pretty surreal, really. I played really good all week and particularly well today."
Donaldson, who also won the Irish Open last year, birdied the first, ninth, 11th, 14th and 15th before dropping his only shot at the 18th.
Rose picked up four birdies in the final round but was let down by bogeys at the fifth, 11th and 16th.
He tossed his putter high in the air in anguish after seeing a 12-foot birdie putt lip out at the last.
Playing partner Olesen also had to settle for a par at the closing hole after missing from 14 feet.
Portugal's Ricardo Santos finished fourth on 277.
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